Ramazan Gençay Department of Economics
Simon Fraser University
Email: gencay@sfu.ca
Unit root tests
with wavelets, 2010, Y. Fan and R. Gencay.
Asymmetry of information
flow between volatilities across time scales, 20010, Econometric Theory, R. Gencay, N. Gradojevic,
F. Selcuk and B. Whitcher.
Crash of '87 - Was
it expected? Aggregate market fears and long range dependence, 2010, Journal of Empirical Finance, R. Gencay and N. Gradojevic.
Option pricing
with modular neural networks, 2009, IEEE
Transactions on Neural Networks, N. Gradojevic, D. Kukolj and R.
Gencay.
Overnight interest
rates and aggregate market expectations, 2008, Economic Letters, R. Gencay
and
Valuation of
collateral in securities settlement systems for extreme market events, 2007, Journal of Financial Transformation, A. Garcia and R. Gencay.
Model
risk for European-style stock index options, 2007, IEEE
Transactions on Neural Networks, R. Gencay and R. Gibson.
Overnight Borrowing, Interest
Rates and Extreme Value Theory, European
Economic Review, 2006, R. Gencay and F. Selcuk.
Multiscale Systematic
Risk, Journal of International Money and Finance, 2005 , R. Gencay, F. Selcuk and B. Whitcher.
Extreme value
theory and Value-at-Risk: Relative performance in emerging markets,
International Journal of Forecasting,
2004, R. Gencay and F. Selcuk.
Real-time trading
models and the statistical properties of foreign exchange rates, International Economic Review, 2003, R. Gencay, G. Ballocchi,
M. Dacorogna, R. Olsen and O. Pictet.
Foreign
exchange trading models and market behavior, Journal of Economic Dynamics and
Control, 2003,
R. Gencay, M. Dacorogna, R. Olsen and O. Pictet.
High volatility,
thick tails and extreme value theory in Value-at-Risk estimation,
Insurance: Mathematics & Economics,
2003, R. Gencay, F. Selcuk and A. Ulugulyagci.
Degree
of mispricing with the Black-Scholes model and
nonparametric cures, Annals of Economics & Finance, 2003, R. Gencay and A. Salih.
Systematic risk
and time scales, Quantitative Finance, 2003, R. Gencay, F.
Selcuk and B. Whitcher.
Scaling,
self-similarity and multifractality in FX markets, Physica A, 2003, Z. Xu and R. Gencay.
Exploring exchange
rate returns at different time horizons, Physica A, 2002, R. Nekhili, A. Salih and R. Gencay.
Pricing and hedging derivative securities with neural networks:
Bayesian regularization, early stopping and bagging, IEEE Transactions on Neural Networks, 2001, R. Gencay and M. Qi.
Time-to-expiry seasonalities in Eurofutures, Studies in
Nonlinear Dynamics and Econometrics, 2001, G. Ballocchi, M. Dacorogna, R.
Gencay and B. Piccinato.
Using
generic algorithms to select architecture of a feedforward
artificial neural network, Physica A, 2001,
R. Gencay and J. Arifovic.
Differentiating
intraday seasonalities through wavelet multi-scaling, Physica A, 2001, R. Gencay, F. Selcuk
and B. Whitcher.
Effective return, risk
aversion and drawdowns in foreign exchange markets,
Physica A,
2001, R. Gencay, M. Dacorogna, U.
Muller and O. Pictet.
Scaling
properties of foreign exchange volatility, Physica A, 2001, R. Gencay, F. Selcuk and B. Whitcher.
Is the largest Lyapunov exponent preserved in embedded dynamics?, Physics Letters A, 2000, W. D. Dechert
and R. Gencay.
Pricing
and hedging derivative securities with neural networks and a homogeneity hint, Journal of Econometrics,
2000, R. Garcia
and R. Gencay.
Statistical
properties of genetic algorithm learning in a model of exchange rate, Journal of Economics Dynamics and Control, 2000,
J. Arifovic and R. Gencay.
Intraday
statistical properties of Eurofutures, Derivatives Quarterly,
1999, R. Gencay, G. Ballocchi, M. Dacorogna and B. Piccinato.
Linear, nonlinear
and essential foreign exchange rate prediction with simple technical trading
rules, Journal of International
Economics, 1999, R.
Gencay
A visual goodness-of-fit
test for econometric models, Studies in
Nonlinear Dynamics and Econometrics,
1998, R. Gencay and F. Selcuk.
Moving average
rules, volume and the predictability of security returns with feed-forward
networks, Journal of Forecasting, 1998, R.
Gencay and T. Stengos.
The
predictability of security returns with simple technical trading rules, Journal of Empirical Finance, 1998, R. Gencay.
Optimization of
technical trading strategies with neural network models and evidence of
profitability in security markets, Economics Letters, 1998, R. Gencay.
Testing Chaotic
Dynamics via Lyapunov Exponents, Physica D, 1998, M. Bask and R. Gencay.
Nonlinear
modelling and prediction with feedforward
and recurrent networks, Physica D, 1997, R. Gencay and T. Liu.
Technical
trading rules and the size of the risk premium in security returns, Studies in Nonlinear Dynamics and Econometrics, 1997, R. Gencay and T. Stengos.
Semiparametric
estimation of a hedonic price function, Journal of
Applied Econometrics, 1996, P. Anglin and R. Gencay.
The identification
of spurious Lyapunov exponents in Jacobian
algorithms, Studies in Nonlinear Dynamics
and Econometrics, 1996, R. Gencay and
W. D. Dechert.
A forecast
comparison of residential housing prices by parametric versus semiparametric conditional mean estimators, Economics Letters, 1996, R.
Gencay and X. Yang.
Nonlinear
prediction of security returns with moving average rules, Journal of Forecasting, 1996,
R. Gencay.
The topological
invariance of Lyapunov exponents in embedded dynamics,
Physica D,
1996, W. D. Dechert and R. Gencay.
A statistical
framework for testing chaotic dynamics via Lyapunov
exponents, Physica D, 1996, R. Gencay.
Forecast
comparisons of residential housing prices by parametric and semiparametric
regression, Canadian Journal of
Economics, 1996, R. Gencay and X.
Yang.
A consistent nonparametric test of symmetry in linear regression
models, Journal of the American Statistical Association, 1995, Y. Fan and R. Gencay.
Tests of the
risk premium on foreign currency futures implied by the intertemporal
asset pricing theory, Applied Financial Economics, 1995, R. Gencay.
Nonlinear
prediction of noisy time series with feedforward
networks, Physics Letters A, 1994, R. Gencay.
Hypothesis testing
based on modified nonparametric estimation of an affinity measure between two
distributions, Journal of Nonparametric
Statistics, 1993, Y. Fan and R. Gencay.
Lyapunov exponents as a nonparametric diagnostic for
stability analysis, Journal of Applied
Econometrics, 1992, W. D. Dechert
and R. Gencay.
An
algorithm for the n Lyapunov exponents of an
n-dimensional unknown dynamical system, Physica D, 1992, R. Gencay and W. D. Dechert.
International chaos,
European Economic Review, 1988, M. Frank, R.
Gencay and T. Stengos.
Return to the home page of Ramazan
Gençay.